This is my Nunu Guide, I hope you enjoy it. I'm new to Nunu and will probably continue editing as long as I keep playing him. I'm still working on these runes myself, but with all the items and such, your ult should have a 60 sec cooldown and hit for a good 2-3k.

Reasoning behind switching back and forth between Ice Blast and Consume is because you WILL get in trouble, and the smartest thing to do is to consume whatever's closest.
After you get all your items, your consume should give you about 800-1000 health.
Ice Blast is HARD core harassing.

-Early Game: Harass
-Mid Game: Harass/Gank
-Late Game: Gank/Team Fight when possible

RUNES-
The runes are meant for a nice hard hitting beginning Ice Blast and an even harder hitting late-game Absolute Zero.

Pros:

-Hit like a brick
-Even better at harassing

Cons:

-Get hit like a brick
-Not a whole lot of added health to screw around with

MASTERIES-

Defense:

-Softens incoming attacks and spells

Offense:

-Cooldown reduction rocks
-Magic Pen. is good
-Ability Power is a given

Utility:

-Ghost for catching em' when they try and run, or for getting away
-Less Time Dead = More Time Killing
-More exp, higher level. Any advantage is still an advantage
-Extra Mana/Regen for the long fights

Very to the point, hit like a truck and hit often.

The cooldown on your Ice Blast at level 5 should be about 3 seconds and should be around 600.
The faster you stack can stack your Mejai's Soulstealer, the better. When you get the cooldown reducation from it, things just work better and get done faster.

Get Kages Lucky Pick asap, the extra gold makes a difference.

If your opponents start building magic resist, switch Zhonyas Hourglass for Void Staff

The object of this build is to destory the enemy physically and mentally. Not many times have I been in a game where they don't surrender and complain "Nunu's fed". I'm not usually fed (fun as hell when I am) I'm just built to rape.